名义利率与通货膨胀:来自中国的证据

运用LM双结构突变检验、Gregory-Hansen结构突变协整以及考虑双重结构突变的Johansen协整等方法对我国的名义利率与通货膨胀之间的关系进行了实证检验;实证结果表明:在样本所处的时间段内,名义利率的数据生成过程是存在结构突变的单位根过程;名义利率发生了两次结构突变,突变点的位置分别在1996年5月与1997年10月。在不考虑结构突变情况下,名义利率与通货膨胀之间不存在长期均衡的关系,即我国不存在费雪效应;在考虑结构突变情况下,名义利率与通货膨胀之间存在以内生结构突变点为虚拟外生变量的长期均衡关系,但协整方程中通货膨胀系数小于1,我国存在部分的费雪效应。最后,本文根据实证分析的结果给出了相应的政策建议。

Nominal Interest Rates and Inflation:Evidence from China

This paper uses the LM method test of double structural mutations,Gregory-Hansen cointegration method of structural mutations and considers Johansen cointegration method of dual structural mutations to China’s nominal interest rate and inflation,the relationship between an empirical test.The empirical results show that: in the sample period,the data generation process of the nominal interest rate is the process of structural mutations unit root;the structure of nominal interest rates had two mutations,the location of point mutations is respectively in May 1996 and 1997 October.In the case of not considering structural mutations,there is no long-run equilibrium relationship between the nominal interest rate and inflation,that is to say,our country does not exist Fisher Effect.In the case of considering structural mutations,there is no long-run equilibrium relationship between the nominal interest rate and inflation with the exogenous variables for the virtual point mutations,but the inflation coefficient is less than 1 in the cointegration equation,indicating that there are parts of Fisher Effect in our country.Finally,the paper gives the corresponding policy recommendations according to the results of empirical analysis.